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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
Persistent link: https://www.econbiz.de/10010499593
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and …
Persistent link: https://www.econbiz.de/10013130487
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Forecasting Realized Volatility : Does Anything Beat Linear Models?
Branco, Rafael; Rubesam, Alexandre; Zevallos, Mauricio - 2022
volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …
Persistent link: https://www.econbiz.de/10014076641
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Volatility spillover between Germany, France, and CEE stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298
financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …
Persistent link: https://www.econbiz.de/10013500945
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …
Persistent link: https://www.econbiz.de/10012910119
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10001657476
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Predicting German Stock and Bond Returns with Macro-Variables : Evidence of Market Timing
Hyde, Stuart - 2010
We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using a battery of performance metrics in addition to measures of superior predictive accuracy to identify the ‘best' models. We also examine whether combination forecasts provide...
Persistent link: https://www.econbiz.de/10013149198
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Return distributions of equity-linked retirement plans
Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010
We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...
Persistent link: https://www.econbiz.de/10008798351